Mean-Variance Optimization, constraint as matrix operation
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Hi, I am trying to use the linprog function to solve the mean-variance problem. I am confused with the input of constraint format. Basically, the objective function is
min W' * cov * W
subject to
W' * u = targetMean
W' * vectorOne = 1
I checked out the syntax
x = linprog(f,A,b,Aeq,beq)
I wonder how would I put the x-transpose into the constraint. Thanks.
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John D'Errico
2017-2-19
Strictly impossible using linprog. PERIOD. EVER.
Your objective function is a quadratic form. It is NOT linear.
However, nothing stops you from employing quadprog, which is designed to solve for a minimum of a quadratic form. You will have two equality constraints, so Aeq will be an array with two rows.
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